Row

Rank

Predicted Beta

Idiosyncratic Volatility

Row

Annualized return and volatility

Close
Annualized Return 0.0052
Annualized Std Dev 0.0438
Annualized Sharpe (Rf=0%) 0.1191

Row

Daily Return Statistics

Close
Observations 3109.0000
NAs 1.0000
Minimum -0.0492
Quartile 1 -0.0005
Median 0.0000
Arithmetic Mean 0.0000
Geometric Mean 0.0000
Quartile 3 0.0006
Maximum 0.0554
SE Mean 0.0000
LCL Mean (0.95) -0.0001
UCL Mean (0.95) 0.0001
Variance 0.0000
Stdev 0.0028
Skewness 0.6608
Kurtosis 188.2357

Downside Risk

Close
Semi Deviation 0.0020
Gain Deviation 0.0026
Loss Deviation 0.0027
Downside Deviation (MAR=210%) 0.0087
Downside Deviation (Rf=0%) 0.0020
Downside Deviation (0%) 0.0020
Maximum Drawdown 0.1172
Historical VaR (95%) -0.0019
Historical ES (95%) -0.0049
Modified VaR (95%) NA
Modified ES (95%) -0.2043
From Trough To Depth Length To Trough Recovery
2009-01-20 2020-03-19 NA -0.1172 3064 2811 NA
2009-01-14 2009-01-14 2009-01-16 -0.0492 3 1 2
2008-11-24 2008-12-01 2008-12-22 -0.0040 20 5 15
2008-12-29 2009-01-02 2009-01-06 -0.0029 6 4 2
2008-11-12 2008-11-12 2008-11-14 -0.0018 2 1 1

Row

Monthly and Calendar Year Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec Close
2008 NA NA NA NA NA NA NA NA NA NA -0.3 -0.1 -0.5
2009 0.7 0.4 0.5 0.7 -0.3 -0.1 0 0.2 -0.3 -0.4 -0.2 0.2 1.4
2010 -0.1 0 -0.1 0 0.1 -0.1 -0.2 0 -0.2 0 -0.2 -0.2 -1.1
2011 0 0.2 0.3 0.1 0.1 0 0.3 0.1 0.1 0 -0.1 0 1.1
2012 -0.1 -0.1 -0.2 0.2 0.1 0.1 -0.4 -0.1 -0.1 0 0 -0.1 -0.5
2013 0 0 -0.1 0.1 -0.1 -0.6 0.2 0 -0.1 0 0 0 -0.5
2014 0 0 -0.2 -0.1 -0.2 0 0 0 0.1 0 0 0.1 -0.2
2015 0.2 -0.2 0 -0.2 -0.2 0 0.1 0 -0.1 0 -0.1 0 -0.5
2016 0 -0.1 -0.2 -0.1 -0.1 0 0 -0.1 0 -0.1 0 0 -0.7
2017 -0.1 -0.2 0 0 -0.1 0 0 -0.1 0 -0.1 0 0 -0.7
2018 -0.1 -0.1 0 0.1 -0.2 -0.1 -0.2 0 -0.1 0 0 0.1 -0.6
2019 -0.1 -0.1 -0.2 -0.1 0.1 -0.1 0 0 -0.1 -0.2 0 0 -0.8
2020 0 0 -0.7 0.1 -0.1 -0.2 0.1 0 -0.2 -0.1 -0.1 0.2 -1
2021 0 -0.1 0 NA NA NA NA NA NA NA NA NA -0.2

Row

Price Chart

# tidytable [6 × 21]
  datadate   Close tic.x   spy   ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y   gld   ret.y ret_1W.y
  <date>     <dbl> <chr> <dbl>   <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl>    <dbl> <chr> <dbl>   <dbl>    <dbl>
1 2008-11-07  101. SPY    93.9  0.033   -0.0307   0.0348   -0.282   -0.362   -0.232   -0.118 GLD    72.5  0.0039   0.0163
2 2008-11-10  101. SPY    92.6 -0.0131  -0.0461   0.0467   -0.284   -0.362   -0.242   -0.123 GLD    73.6  0.0149   0.0349
3 2008-11-11  101. SPY    89.8 -0.0309  -0.106   -0.114    -0.302   -0.375   -0.266   -0.146 GLD    72.0 -0.0208  -0.0454
4 2008-11-12  101. SPY    85.8 -0.044   -0.108   -0.140    -0.338   -0.420   -0.304   -0.184 GLD    70   -0.0285  -0.0385
5 2008-11-14  102. SPY    86.6 -0.0499  -0.0771  -0.0763   -0.325   -0.405   -0.300   -0.186 GLD    73.3  0.0159   0.011 
6 2008-11-17  102. SPY    85.5 -0.0133  -0.0773  -0.083    -0.327   -0.414   -0.306   -0.190 GLD    72.6 -0.0089  -0.0126
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>

Row

Rolling Performance Chart

Row

Snail Trail Chart